Friday, October 31, 2014

UTP Vendor Alert #2014 - 6
Implementation of New Message Header Formats

What is changing?

As requested by the Policy/Technical Committees, the SIPs will make modifications to the Message Header Protocol to support Participant Timestamp information in the inbound protocol specifications and the outbound data feed specifications (UQDF, UTDF & OMDF).

The purpose of the Participant Timestamp information is to allow Data Recipients to identify the difference between the current Outbound Multicast Timestamp and the matching engine timestamp of the participant exchange when an order or trade occurs.

Additionally, as agreed to by the Participants and the SIPs, a new Transaction ID field will be supported in the Outbound Services. The Output Transaction ID information is intended for use by Participants/SIPs only and will be identified as 'Reserved for Internal Use' on the Output Specifications.

How will these improvements be implemented?

The UTP SIP plans to support the new Message Header Protocol changes April 27, 2015. The revised message header will be as follows:

In order to facilitate these improvements the UTP SIP Back End software will be backward compatible, allowing for rapid fallback from new (revised) message header format to existing (current) message header format. While there is no intention of publishing both new (revised) and existing (current) format on any single channel over the course of the day, data recipients should be prepared to receive both.

The UTP SIP intends to use existing message formats and types in order to minimize the impact on data recipients. To facilitate the improvements a message header change will be made to (a) provide the additional content and (b) indicate whether the message format is new (existing) or old (current).

What changes are being made to the message header format?

The Session Identifier in the message header will be redefined to indicate which version of message header is present for the message:

• 'A': existing (current) format, all sessions
• 'U': existing (current) format, U.S. market session
• '1': new (revised) format (session indication is no longer differentiated)

The message header Time Stamp field will be redefined to provide the SIP Timestamp in terms of the number of microseconds since midnight EST. The value will be revised and reduced in size. Revised timestamp will represent the number of microseconds since midnight EST. The value will be a 6-byte string of ASCII-displayable characters relative to ASCII zero ("0") representative of a base95 number.

The existing Reserved field: The three remaining bytes of the existing timestamp filed will be reserved for future use.

Two new additional fields will be added to the message header for the new message format:

• Participant Timestamp: A participant-provided timestamp representing the number of microseconds since midnight EST. The value will be a 6-byte string of ASCII-displayable characters relative to ASCII zero ("0") representative of a base95 number. The SIP will simply pass through the value provided by the participant where applicable; for transactions originating from participants not using the new input content and for SIP-generated messages, this field will contain all zeros (six ASCII '0' characters).
• Transaction ID: A transaction identifier reserved for UTP usage. The transaction identifier will be a single string of 7 ASCII-displayable characters. This is intended for UTP SIP internal use only and Data Vendors may ignore/disregard this field.

How will time fields within existing message formats be changed?

The UTP SIP will make one modification to the LULD Price Band Effective Time Field in order to provide a greater granularity to the microsecond.

• The Price Band Message's (category 'A', type 'P') LULD Price Band Effective Time field will be modified to contain a "wall time" time value precise to the microsecond level for the new (proposed) message format (i.e. Session Identifier = '1') in the format "HMSnnnnnn", where:
  • H: an ASCII-displayable character representing the hours portion of the timestamp; values are defined in Appendix F
  • M: an ASCII-displayable character representing the minutes portion of the timestamp; values are defined in Appendix F
  • S: an ASCII-displayable character representing the seconds portion of the timestamp; values are defined in Appendix F
  • nnnnnn: microsecond portion of timestamp (numeric)

• There are no changes at this time for the various Date/Time fields published on the UTP data feeds; these fields will continue to provide precision to the nearest second. Fields include:
  • Cross SRO Trading Action (category 'A', type 'H'), field Action Date/Time (UQDF/UTDF/OMDF)
  • Market Center Trading Action (category 'A', type 'K'), field Action Date/Time (UQDF/UTDF/OMDF)
  • Prior Day As-Of Trade (category 'T', type 'H'), field Prior Day Trade Date/Time (UTDF)

What are the testing opportunities for the release?

Yes. To ensure that direct data feed subscribers are ready to handle the new Message Header Formats, the UTP SIP will offer evening format testing opportunities. The UTP SIP will replay a sample data file with the new UQDF, UTDF and OMDF formats via the production IP multicast channels from 9:00 p.m. to 10:30 p.m., ET, on weekday evenings. The UTP SIP is working closely with the UTP Operating committee, and will post additional UTP notices to inform the direct data recipients.

Where can I find additional information?

• Refer to the UQDF, UTDF and/or OMDF specification documents.
• Refer to the FAQ Document.
• For questions regarding the UTP Data Feeds, please contact products@utpplan.com.